Per the post here: http://www.telerik.com/forums/does-the-kendo-ui-grid-support-column-header-templates In order to achieve a custom header, we have to manipulate the DOM via jquery. That can get messes and makes the grid less maintainable.
This thread is quite old, dating 3 years ago. We already have columns.filterable.cell.template attribute (http://docs.telerik.com/kendo-ui/api/javascript/ui/grid#configuration-columns.filterable.cell.template) exposed via the API, which you can utilize to achieve your goal.